A Markov-Chain Measure of Systemic Banking Crisis Frequency
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Authors
Tambakis, D.
Publication Date
2020-09-03Series
Cambridge Working Papers in Economics
Publisher
Faculty of Economics, University of Cambridge
Type
Working Paper
Metadata
Show full item recordCitation
Tambakis, D. (2020). A Markov-Chain Measure of Systemic Banking Crisis Frequency. https://doi.org/10.17863/CAM.61843
Abstract
This study nests historical evidence for credit growth-fuelled financial instability in a 2-state non-homogeneous Markov chain with logistic crisis incidence. A long-run frequency measure is defined and calibrated for 17 advanced economies from 1870-2016.
Keywords
Credit cycle, Systemic banking crises, Markov chain
Identifiers
CWPE2082
This record's DOI: https://doi.org/10.17863/CAM.61843
This record's URL: https://www.repository.cam.ac.uk/handle/1810/314737
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